Trend-Following Backtester · Guide · backtest 한국어
equity · US
Univest Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Univest Financial Corporation. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.0%, MDD -21.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.2%, drawdown -66.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -21.0%, Sharpe 0.48, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -63.9%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 45.7%p (CAGR 3.0%, MDD -21.0%, exposure 12%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=22 |
3.0% | -21.0% | 0.48 | 0.14 | 2.3x | 13 | 12% |
| SMA 크로스오버 fast=59, slow=233 |
4.0% | -63.9% | 0.28 | 0.06 | 3.0x | 31 | 55% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=17, mult=3.9 |
0.7% | -4.8% | 0.25 | 0.14 | 1.2x | 4 | 1% |
| Donchian 채널 돌파 entryN=96, exitN=102 |
3.3% | -67.5% | 0.25 | 0.05 | 2.5x | 29 | 57% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
1.8% | -45.7% | 0.21 | 0.04 | 1.6x | 52 | 13% |
| EMA 크로스오버 fast=57, slow=116 |
0.6% | -78.6% | 0.14 | 0.01 | 1.2x | 53 | 56% |
| Supertrend period=23, mult=4.9 |
-1.1% | -85.6% | 0.08 | -0.01 | 0.7x | 65 | 55% |
| MACD fast=18, slow=70, signal=23 |
-6.0% | -90.8% | -0.12 | -0.07 | 0.2x | 282 | 49% |
| ROC 모멘텀 n=125, threshold=0 |
-6.3% | -97.1% | -0.14 | -0.06 | 0.2x | 375 | 55% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.4% | -90.8% | -0.14 | -0.07 | 0.2x | 231 | 52% |
| Buy and hold | 3.2% | -66.7% | 0.27 | 0.05 | 2.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)